I have run Fama MacBeth cross section regression of of Excess Return of stocks on Idiosyncratic volatility, the log of market capitalization, book to equity ratio and Beta. I'm getting all significant ...

I'm currently dealing with the following question:
In Asset Pricing, well-informed investors know about the concept of the efficient frontier. Does this mean that they only invest in portfolios that ...

I'm thinking of writing a master's thesis about pricing options using Levy processes, but I wonder if these processes are actually used for modeling stock prices or not (and which specifically)? And ...

Examples like new research or findings but also older research or findings actually starting to get implemented. Is machine learning starting to get a foothold in finance? Are there any new practical ...

Could someone describe how risk-neutral probability measures are linked to arbitrage opportunities and also to whether or not a market is complete? I've been asked this question and am unsure how to ...

Assume that only two companies are listed on an effective capital market:
companies A and company B. Capitalization (market value of all shares) of both companies is the same. Expected rate of return ...

I need to conduct the Fama-MacBeth (FM) procedure for my thesis to test the ability of the six-factor model to predict future expected returns. In univariate regressions of expected excess returns on ...

The total wealth of the USA (2019) is $106 Trillion. [1]
The total market capitalization of US companies is $37.6 Trillion. [2]
Okay, other countries can invest in US markets more than we invest in ...

I have a question related to accessing historical data. My first attempt to grab historical data for a few companies was using Google sheets and the GOOGLEFINANCE function. Unfortunately, it seems to ...

1# When would the three risk factors market, size and value be priced in the FF Three factor model when performing cs-regression? How do you know that they are priced?
2# How would it be possible to ...

I'm just starting to learn how to trade options and as part of an algorithmic options market making simulation I have risk limits for the greeks (gamma, vega, delta, and theta).
There are 9 strikes ...

I'm getting to know the Black Scholes model, which apparently is no longer suitable for pricing options on the market. I would like to write a Master's thesis on option pricing but I do not know what ...

When selling/buying vanilla call options, do one price them according to some pricing formula (i.e Black-Scholes)? Or is the only point using pricing formulas to find the implied volatility and then ...

When converting daily volatilities to annual volatilities one need to multiply with $\sqrt{252}$.
But I found this piece of code this piece of code who calculate log-returns in the following way: In ...

In order to calculate the Sharpe Ratio, I need the risk-free rate. What is the most convenient proxy for the risk-free rate? And how do I transform the yearly risk free rate to a weekly risk free rate?...

Anyone have a feeling as to what is going on here? Trying to follow along to learn more ... looks like Metis has offered all-cash for 20% premium on current share price but board is blocking.
I think ...

Assume there are H agents with constant absolute risk aversion $\alpha$. There is a risk-free asset, and two risky assets with distribution $S1$ ~ $N(\mu; \Sigma)$, where $\mu \in \mathbb{R}^2$ and $\...

In the paper "Realized kernels in practice: trades and quotes" by O. E.Bandorff-Nielsen etc. cf.
https://onlinelibrary.wiley.com/doi/full/10.1111/j.1368-423X.2008.00275.x
in the section dedicated to ...

I'm trying to calculate the forward contract on a zero coupon bond where the forward contract matures at t=4.
The zero coupon bond matures at t=10 and has a face value of 100. The price of that bond ...

I'm trying to understand what the Fama-Macbeth regressions of returns actually mean. The source of confusion is a 2013 Novy-Marx paper, in which he states the following:
"The first specification of ...

The task: With what interest rate given 2000 Euros after 2 years and 3000 Euros after 4 years, the actual value will be equal 4000 Euros.
This task sounds confusing for me, I tried to calculate, but ...